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WTI Options Liquidity During European Morning Hours

Highlights:

  • Over 80% of WTI Options (LO) volume electronically traded for 15 consecutive months
  • WTI Options volume during non-U.S. represented 13% of total LO volume during September 2018
  • 46% of total WTI Options (LO) electronic volume is a result of on-screen spread trading via RFQ in September 2018

New Expiration Rules for Options

Highlights:

The new options expirations rules include the elimination of contrary exercise instructions for all physically-settled Crude Oil, Natural Gas, Refined Products, and Metals options contracts that expire after January 1, 2018.  Brent (BZO), Coal, Power, and Emissions options are excluded.

In addition, for exact at-the-money settlements, the auto-exercise rule has changed. If the underlying settlement price falls exactly on a strike price at expiration, the at-the-money calls will be exercised and the at-the-money puts will be abandoned.

For More Information:

Clearing CME Globex Floor CME ClearPort Product Name Subgroup Exchange Volume Open Interest
LO LO - LO Crude Oil Options Crude Oil NYMEX 116,051 3,384,333
LN LNE - LN Natural Gas Options (European) Natural Gas NYMEX 98,328 2,264,827
BZO BZO - BZO Brent Crude Oil Futures-Style Margin Option Crude Oil NYMEX 21,736 315,819
ON ON - ON Natural Gas Options (American) Natural Gas NYMEX 14,131 221,678
WA WAY - WA WTI Crude Oil 1 Month Calendar Spread Options Crude Oil NYMEX 13,060 303,600
AH AAH - AH Dubai Crude Oil (Platts) Average Price Options Crude Oil NYMEX 4,000 5,000
G4 G4X - G4 Natural Gas (Henry Hub) Last-day Financial 1 Month Spread Options Natural Gas NYMEX 3,350 77,895
LO3 LO3 - LO3 Crude Oil Weekly Options Wk 3 Crude Oil NYMEX 894 3,306
LO4 LO4 - LO4 Crude Oil Weekly Options Wk 4 Crude Oil NYMEX 705 1,760
LC LCE - LC Light Sweet Crude Oil European Financial Option Crude Oil NYMEX 400 51,115
Trade Date: 16 Oct 2018 | FINAL

Note: Volume and Open Interest data is from the previous trade date. Preliminary data updates at approximately 9:00 p.m. CT and the final update is at 10:00 a.m. CT next business day.

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